Google "gun show accidental shooting", and you'll see why they ban loaded firearms. There are SO many results. People are idiots.
It's a business choice. People getting shot on your property during a show is bad for business, and your insurance rates. Hell, I remember a few years ago 5 people were shot at 3 different gun shows across the US within a few hours of each other. I don't blame them for banning loaded carry, it covers their ass if someone decides to bypass security with a loaded weapon and accidentally shoot someone.
That being said, I've NEVER been to a gun show that had metal detectors or pat downs, and I've seen MANY people with clear firearm bulges say "No sir no firearms" when walking through security.
The problem isn't carrying in a GFZ, it's taking out your firearm at a gun show to show someone like an idiot and letting a round off that hits someone else who's just trying to shop.